Research on Leverage Effect and Risk Fluctuation of Shanghai and Shenzhen Stock Markets Based on GARCH Family Model

Abstract

The stock market is characterized by high risks. If there is asymmetric effect, the risk will be further aggravated. Therefore, it is particularly important to study the fluctuation characteristics of stock market prices and their asymmetric effects. 609 data were respectively selected from the Shanghai composite index and Shenzhen securities component index from July 1, 2005 to December 28, 2007, and 634 data were respectively selected from June 9, 2015 to December 29, 2017. GARCH family model is selected for data fitting and analysis.The results show that: First, the optimal model of Shanghai bull market is TGARCH (1,1), bear market is TGARCH (2,1), Shenzhen bull market is TGARCH (1,3), bear market is EGARCH (1,1). Second, the Chinese stock market has an asymmetric effect. Third, the range of risk fluctuations in China’s stock market is relatively large. Finally, the problems in the Chinese stock market at the emergence stage are mentioned, and corresponding solutions are proposed. Finally, the problems in the Chinese stock market at the emergence stage are mentioned, and corresponding solutions are proposed.